You don't need to be proud of being straight because being straight is the default - and society doesn't give you any shit for being straight.
Pride - in race, in sexuality, in gender, in whatever else - comes from ostracism and marginalization. You band together, develop a group identity, form communities, etc, because the world treats you poorly. Gay Pride is a development out of necessity, not just for parade floats.
This goes beyond sexuality - there is a massive "geek" community out there that gathers for conventions, concerts, and whatever else you can think of. Much of this community formed as a result of ostracism, both real and perceived.
Ditto race. Blacks, Asians, and Latinos band together - both formally in organizations, or informally in communities - to combat the racism its members experience, and support its victims.
When you find any description of people marginalized, odds are you will find communities and organizations that have formed around it. Pride is a natural response - a collective "there is nothing wrong with being us!" is a natural response to a society that tells you that what you are is wrong.
Now, to address your context of your comment - you're incredibly lucky if you don't "get" gay pride. I think most marginalized people would like to live like you - never having to belong to a collective to defend your being, or having society treat you like an individual instead of a constant outsider. To be in a position where this marginalization is invisible to you is a fortunate circumstance indeed.
So it's particularly annoying to those of us who are still marginalized in society - in whatever ways - that you've turned this around to play the victim. You live an enviable life, where you don't need to band together with other marginalized people out of desperation or necessity, yet you have the gall to turn it around as if you're being punished for it.